EVIX Fund Description

EVIX tracks an index of futures contracts on the Euro STOXX 50 Volatility Index, or VSTOXX, with a weighted average maturity of one month.

EVIX Factset Analytics Insight

EVIX offers exposure to volatility derivatives on the Euro STOXX 50, an index of 50 large-cap Eurozone stocks. The note rolls its exposure daily, such that the weighted average maturity of the underlying futures contracts is always one month away. Volatility futures deliver poor long-term exposure to their underlying indexes, and volatility ETPs have collectively erased vast sums of investor capital over the years. EVIX is not exempt from these concerns—as a short-term product, it should track the VSTOXX somewhat more closely than a mid-term ETP, but it will also be subject to the ferocious contango often found at the near end of the volatility futures curve. As a result, EVIX is only suitable for tactical, short-term positions, and the note’s steep expense ratio is less important than its trading costs. As an ETN, EVIX is an unsecured liability of UBS.

EVIX Factset Analytics Block Liquidity

This measurement shows how easy it is to trade a $1 million USD block of EVIX. EVIX is rated a 5 out of 5.

EVIX Tradability

Avg. Daily Share Volume
1,916

Average Daily $ Volume
$14.72K

Median Daily Share Volume
1,091

Median Daily Volume ($)
$8.13K

Average Spread (%)
1.35%

Average Spread ($)
$0.09

Median Premium / Discount (12 Mo)
0.10%

Max. Premium / Discount (12 Mo)
11.18% / -6.82%

Impediment to Creations
None

Market Hours Overlap
100.00%

Creation Unit Size (Shares)
50,000

Creation Unit/Day (45 Day Average)
0.02

Creation Unit Cost (%)
0.15%

Underlying Volume / Unit
--

Open Interest on ETF Options
48

Net Asset Value (Yesterday)
$6.48

ETF.com Implied Liquidity
5

EVIX Expected Decay

Expected decay estimates the annualized impact on returns solely from the futures term structure. A positive number implies an expected loss attributable to the term structure and a negative number implies an expected gain attributable to the term structure. Decay–to–spot compares weighted average futures contract prices with the spot VIX value. It also assumes a constant spot VIX level. Decay–to–preceding compares weighted average futures price levels with those immediately preceding on the curve, assuming that the shape of the curve is constant.

EVIX Term Structure

Rules for Futures Roll
N/A

TARGETED AVERAGE MATURITY
N/A

EVIX Performance Statistics

Goodness of Fit (R2)
0.29

Beta
0.25

Annualized Alpha
--

Up Beta
--

Down Beta
--

Downside Standard Deviation
--

EVIX Correlations (DAILY RETURNS 12 MO)

VIX INDEX
0.54

S&P 500 INDEX
-0.43

Rolling 30-day Correlation to VIX Index

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